As far as I know, many people prefer to upload photos and videos to third party resources in order to reduce the load on the Lemmy instance.
In addition, many instance do not allow uploading videos and you have to find a place where you can upload a video so that a third-party service can provide a direct link to the file.
Regarding video support in your app. Check your firewall. If reddit domains are blocked, you need to allow them. In case your app does not play videos from any sources - write about it to the developer of the app https://github.com/laurencedawson/sync-for-lemmy/issues
Check your firewall. Maybe the reddit address is locked. If the problem is not the firewall, then change the application.